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摘要翻译：
有令人信服的证据表明，成熟市场股票收益率的概率分布呈现幂律尾，且正负尾均符合立方反比律。它支持这样一种可能性，即尾部指数至少在成熟市场中是普遍的，因为它们不依赖于股票市场、行业部门和市场资本化。本文研究了中国股市这一世界上最大的新兴市场A股所有股票的日内一分钟收益分布。我们发现，收益率可以很好地拟合为$q$-Gaussian分布，尾部具有幂律松弛，指数在$alpha=3$附近波动，远远超出了个股的L\'evy稳定区间。我们提供了统计上显著的证据，表明指数随换手率的增加而减少，随市值的增加而增加，并且发现市值对尾部指数的影响大于换手率。我们的研究结果表明，新兴股票市场的日内收益率分布并不普遍。
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英文标题：
《Nonuniversal distributions of stock returns in an emerging market》
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作者：
Guo-Hua Mu and Wei-Xing Zhou (ECUST)
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最新提交年份：
2010
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要：
There is convincing evidence showing that the probability distributions of stock returns in mature markets exhibit power-law tails and both the positive and negative tails conform to the inverse cubic law. It supports the possibility that the tail exponents are universal at least for mature markets in the sense that they do not depend on stock market, industry sector, and market capitalization. We investigate the distributions of one-minute intraday returns of all the A-share stocks traded in the Chinese stock market, which is the largest emerging market in the world. We find that the returns can be well fitted by the $q$-Gaussian distribution and the tails have power-law relaxations with the exponents fluctuating around $\alpha=3$ and being well outside the L\'evy stable regime for individual stocks. We provide statistically significant evidence showing that the exponents logarithmically decrease with the turnover rate and increase with the market capitalization, and find that the market capitalization has a greater impact on the tail exponent than the turnover rate. Our findings indicate that the intraday return distributions are not universal in emerging stock markets.
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PDF链接：
https://arxiv.org/pdf/1003.5984
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